The Implementation of Optimal Investment Decision Strategies in Finance

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This project will develop a set of implementable solution methodologies for a class of optimal financial decision making problems of practical interest in the finance sector. It involves the application of sophisticated ideas from mathematical finance and adaptive stochastic optimal control theory. The innovation of the project lies in its application of recent advances in the solution of stochastic dynamic optimisation problems to develop practical implementations of a range of financial optimisation problems. Its outcomes will benefit both Australian financial institutions and sectors of Australia's IT industry developing innovative financial risk management software.